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The Real Exchange Rate Volatility And U.S. Exports: An Empirical Investigation

Author

Listed:
  • E. M. Ekanayake
  • John R. Ledgerwood
  • Sabrina D’Souza

Abstract

This paper investigates effects of exchange rate volatility on U.S. exports, using disaggregated sectoral data on U.S. exports to its major trading partners. In this paper, we use a generalized ARCH-type model (GARCH) to generate a measure of exchange rate volatility which is then tested in a model of U.S. exports. The analysis uses monthly trade data for the period from January 1990 through December 2007. Testing sectoral trade data allows us to detect whether the direction or magnitude of the impact of volatility differs depending on the types of goods that are traded. The results obtained in this paper suggest that the increase in the volatility of exchange rate exert a negative effect upon export demand in majority of the products: the study finds evidence for significant negative effects in six of ten export products, and significant positive effects in four products.

Suggested Citation

  • E. M. Ekanayake & John R. Ledgerwood & Sabrina D’Souza, 2010. "The Real Exchange Rate Volatility And U.S. Exports: An Empirical Investigation," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 23-35.
    • Handle: RePEc:ibf:ijbfre:v:4:y:2010:i:1:p:23-35
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    References listed on IDEAS

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    Cited by:

    1. Vinh Nguyen Thi Thuy & Duong Trinh Thi Thuy, 2019. "The Impact of Exchange Rate Volatility on Exports in Vietnam: A Bounds Testing Approach," JRFM, MDPI, vol. 12(1), pages 1-14, January.
    2. Mekbib Gebretsadik Haile & Geoff Pugh, 2013. "Does exchange rate volatility discourage international trade? A meta-regression analysis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(3), pages 321-350, April.

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    More about this item

    Keywords

    exchange rate volatility; U.S. Exports; Real exchange rate;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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